Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
The Dynamic Nelson-Siegel model: empirical results for Chile and US
Rodrigo Alfaro (),
Juan Becerra and
Andres Sagner ()
MPRA Paper from University Library of Munich, Germany
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact parameters in the VAR model that generates Dynamic-Nelson-Siegel (DNS) which has a strong implication in the time-series properties of the interest rates: those should be model by an ARIMA(2,1,2). Finally we provide empirical evidence of the model for the cases of Chile and US, our finding matches previous results about the non-linear parameter of the model.
Keywords: Nelson-Siegel; Yield Curve; ARIMA (search for similar items in EconPapers)
JEL-codes: E43 G12 C22 (search for similar items in EconPapers)
Date: 2010-06-23, Revised 2010-06-23
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/25912/1/MPRA_paper_25912.pdf original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:25912
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().